Juan Carlos Pardo–Fernández
Biographic Data
| ID | 9107581 |
|---|---|
| NAME | Juan Carlos Pardo–Fernández |
| GIVEN NAMES | Juan Carlos |
| FAMILY NAME | Pardo–Fernández |
| SIGNATURE | FERNÁNDEZ J C P |
| AFFILIATIONS | Universidade de Vigo |
| ORCID | 0000-0002-8260-374X |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2017 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 0 |
Semiparametric Estimation of Risk–Return Relationships
This article proposes semiparametric generalized least-squares estimation of parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of parametric factors. A distinctive feature of our estimator is that it does not require a fully parametric model for the conditional mean and variance. We establish consistency and asymptotic normality of the estimates. The theory is nonstandard due to the pr…
No prominent works on this page.
Semiparametric Estimation of Risk–Return Relationships
This article proposes semiparametric generalized least-squares estimation of parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of parametric factors. A distinctive feature of our estimator is that it does not require a fully parametric model for the conditional mean and variance. We establish consistency and asymptotic normality of the estimates. The theory is nonstandard due to the pr…
Asymptotic analysis (1 work) · Asymptotic distribution (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Conditional expectation (1 work) · Conditional variance (1 work) · Econometrics (1 work) · Estimator (1 work) · Financial Markets and Investment Strategies (1 work) · Financial Risk and Volatility Modeling (1 work) · Mathematics (1 work)